Free access article

ESAIM: Proc., 2007, Vol. 19, pp. 85-100
DOI: 10.1051/proc:071912

Combined use of importance weights and resampling weights in sequential Monte Carlo methods

Francois Le Gland

IRISA / INRIA, Campus de Beaulieu, 35042 RENNES Cédex, France

(Published online: 30 October 2007)

Abstract
A particle approximation of Feynman-Kac distributions is presented here, that combines SIS and SIR algorithms in the sense that only a part of the importance weights is used for resampling, and two different approaches are proposed to analyze its performance. The first approach is based on a representation in terms of path-space distributions, and could be used to analyze the joint particle approximation of distributions for a reference model and several alternate models at the same time. The second approach, which is of independent interest and seems very promising, is based on a representation in terms of a multiplicative functional, and could be used to analyze particle approximation with adaptive resampling schemes.

© EDP Sciences, ESAIM 2007

The OpenURL standard is a protocol for transmission of metadata describing the resource that you wish to access. An OpenURL link contains article metadata and directs it to the OpenURL server of your choice. The OpenURL server can provide access to the resource and also offer complementary services (specific search engine, export of references...). The OpenURL link can be generated by different means.

• If your librarian has set up your subscription with an OpenURL resolver, OpenURL links appear automatically on the abstract pages.
• You can define your own OpenURL resolver with your EDPS Account. In this case your choice will be given priority over that of your library.
• You can use an add-on for your browser (Firefox or I.E.) to display OpenURL links on a page (see http://www.openly.com/openurlref/). You should disable this module if you wish to use the OpenURL server that you or your library have defined.